Eric Dal Moro

SCOR Global P&C SE Reinsurance (Zurich Branch)

Zurich

Switzerland

SCHOLARLY PAPERS

14

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Scholarly Papers (14)

1.

Probability of Sufficiency of Solvency II Reserve Risk Margins: Practical Approximations

ASTIN Bulletin, Cambridge University Press, 2017, DOI: 10.1017/asb.2017.12., Earlier version of the paper was presented at ASTIN Colloquium, Sydney 2015.
Number of pages: 51 Posted: 10 Sep 2015 Last Revised: 13 May 2018
Eric Dal Moro and Yuriy Krvavych
SCOR Global P&C SE Reinsurance (Zurich Branch) and Guy Carpenter
Downloads 225 (141,093)

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IFRS 4 Phase II, IFRS confidence level of Solvency II risk margin, Cost of Capital approach, Probability of Sufficiency, practical approximation formulae

2.

Probability of Sufficiency of the Risk Margin for Life Companies Under IFRS 17

International Congress of Actuaries 2018, Berlin
Number of pages: 18 Posted: 21 Jun 2018 Last Revised: 14 Oct 2018
Credit Foncier de France, SCOR Global P&C SE Reinsurance (Zurich Branch), Guy Carpenter and Russian Guild of Actuaries
Downloads 203 (155,504)

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IFRS 17, Confidence Level, Cost of Capital, Probability of Sufficiency, Duration, Convexity, Interest Rate, Biometric Risk, Replicating Portfolio

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Actuarial Function Holder, Responsible Actuary, Solvency 2, Swiss Solvency Test

The Computational and Timing Challenge of Quarterly Nonlife (Re)Insurance Liability Evaluation Under IFRS 4 Phase 2

The Journal of Financial Perspectives, Vol. 2, No. 3, November 2014
Number of pages: 47 Posted: 04 Jan 2015
Eric Dal Moro and Jayne Faulkner
SCOR Global P&C SE Reinsurance (Zurich Branch) and SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 97 (282,617)

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IFRS 4 Phase 2, non-life insurance, Cost of capital, liability, risk adjustment margin, contractual service margin

The Computational and Timing Challenge of Quarterly Nonlife (Re)Insurance Liability Evaluation Under IFRS 4 Phase 2

Journal of Financial Perspectives, Vol. 2, No. 3, 2014
Number of pages: 47 Posted: 01 Dec 2017
Eric Dal Moro and Jayne Faulkner
SCOR Global P&C SE Reinsurance (Zurich Branch) and SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 29 (503,144)

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5.

Application of Skewness to Non-Life Reserving

ASTIN Colloquium 2012
Number of pages: 23 Posted: 21 Jun 2013
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 86 (302,939)

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Skewness, Variance, Chain-Ladder, Reserve Risk Distribution, Correlation, Gaussian Copula, Generalized Pareto Distribution, Generalized Extreme Value Distribution

6.

Kurtosis and Skewness Estimation for Non-Life Reserve Risk Distribution

ASTIN Colloquium 2013
Number of pages: 26 Posted: 21 Jun 2013
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 69 (344,151)

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Skewness, Kurtosis, Platykurtic, Variance, Chain-Ladder, Reserve Risk Distribution, Correlation, Gaussian Copula, Generalized Pareto Distribution, Johnson Distribution

7.

A Closed-Form Formula for the Skewness Estimation of Non-Life Reserve Risk Distribution

Number of pages: 27 Posted: 24 Oct 2013
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 68 (346,950)
Citation 1

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Skewness, Variance, Chain-Ladder, Reserve risk distribution, Skew-normal distribution, GEV distributions

8.

Political Risk Reinsurance Pricing - A Methodology Proposal

ASTIN Colloquium Sydney 23-27 August 2015
Number of pages: 12 Posted: 10 Sep 2015
Eric Dal Moro and Géraud Hubinois
SCOR Global P&C SE Reinsurance (Zurich Branch) and SCOR
Downloads 65 (355,252)

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Clayton copula; Aggregation tree; Political Risk Insurance; Country rating; Probability of Default; Loss Given Default; Obligatory

9.

Assessment of Frictional Capital Costs for Insurance and Reinsurance Companies

Bulletin Français d'Actuariat, 2008
Number of pages: 23 Posted: 21 Jun 2013
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 62 (363,992)

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Cost of Capital, Frictional Capital Cost, Economic Capital, Discounted Distributable Earnings, Required Surplus,Transfer Pricing of Funds, Required Profit, Risk-Free Rate

10.

Assessment of Insurance Group Capital Requirements Taking into Account the Lack of Fungibility between Legal Entities

Bulletin Francais d'Actuariat, 2008
Number of pages: 26 Posted: 21 Jun 2013
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 40 (440,237)

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Fungibility of capital, Copula, Aggregation, Solvency capital requirement, Minimum capital requirement, Diversification benefit, Expected shortfall, Option pricing, Capitalization ratio

11.

An Approximation of the Non-Life Reserve Risk Distribution Using the Cornish-Fisher Expansion

Number of pages: 23 Posted: 10 May 2017
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 19 (547,379)
Citation 1

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Cornish-Fisher expansion, Kurtosis, Skewness, Variance, Chain-Ladder, Reserve risk distribution

12.

Fishing for Scenarios

Prepared for the Astin Colloquium Lisboa, May 31– June 03, 2016
Number of pages: 15 Posted: 07 Jun 2016
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 17 (559,592)

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Cornish-Fisher Expansion; Skewness; Variance; Gaussian Copula; Correlations

13.

The Skewness of Bornhuetter-Ferguson

Number of pages: 13 Posted: 27 Nov 2018
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 16 (565,644)

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Bornhuetter-Ferguson, Prediction error, Skewness, Reserving distribution, Stochastic claims reserving, IFRS 17

14.

Impact of an Aggregation Tree Over the Skewness of the Final Risk Distribution

ASTIN colloquium 2019
Number of pages: 17 Posted: 07 May 2019
Eric Dal Moro
SCOR Global P&C SE Reinsurance (Zurich Branch)
Downloads 14 (578,333)

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Coefficient of variation, diversification, value at risk, skewness, kurtosis, aggregation tree, copula, Cornish-fisher expansion, Kendall Tau

Other Papers (1)

Total Downloads: 53
1.

An Industry Question: The Ultimate and One-Year Reserving Uncertainty for Different Non-Life Reserving Methodologies

ASTIN Bulletin/Volume 44/Issue 03/September 2014, pp 495-499, DOI: 10.1017/asb.2014.16, Published online: 01 July 2014
Number of pages: 6 Posted: 20 Nov 2014
Eric Dal Moro and Lo Jo
SCOR Global P&C SE Reinsurance (Zurich Branch) and Aspen Reinsurance
Downloads 53

Abstract:

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One-year volatility, bootstrapping methods, Mack model, Chain-Ladder